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Showing 1 to 1 of 1 for “"epsilon-martingale decomposition"”.
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Singular Perturbations on Non-Smooth Boundary Problems in Finance
… is applied on Asian option problems. Epsilon-Martingale decompositions are employed to the pricing and hedging of volatility contracts. Firstly, we begin by presenting some applicable concepts in probability theory, stochastic differential equations, and the risk-neutral evaluation for …